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Displaying results 1 to 2 of 2.

  1. How large is the housing wealth effect? - a new approach
    [November 12, 2006]
    Author: Carroll, Chris; Otsuka, Misuzu; Slacalek, Jirka
    Published: 2006
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,35
    Subjects: Grundstück; Mietwohngrundstück; Privatgrundstück; Eigentum; Realkasseneffekt; Vermögenseffekte des Geldes; Privater Verbrauch; :z Geschichte 1960-2005; USA; Verbrauch; Unbewegliche Sache
    Other subjects: (stw)1960-2005; (stw)Immobilien; (stw)Eigentum; (stw)Vermögenseffekt; (stw)Privater Konsum; (stw)USA; Housing Wealth; Wealth Effect; Consumption Dynamics; Asset Price Bubbles; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  2. Tackling the volatility paradox: spillover persistence and systemic risk
    Author: Kubitza, Christian
    Published: April 2021
    Publisher:  ECONtribute, Bonn

    This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 711
    Inter-library loan:
    No inter-library loan

     

    This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes. Variation in financial constraints connects Spillover Persistence to fragility. The results are consistent with the volatility paradox in recent macro-finance models, and highlight the usefulness of loss dynamics to disentangle fragility from amplification effects.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/237324
    Edition: This version: April 13, 2021
    Series: ECONtribute discussion paper ; no. 079
    Subjects: Systemic Risk; Fragility; Financial Crises; Asset Price Bubbles; Fire Sales
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen